Massimiliano Marcellino : Citation Profile


Are you Massimiliano Marcellino?

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

33

H index

80

i10 index

3744

Citations

RESEARCH PRODUCTION:

93

Articles

231

Papers

2

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   21 years (1997 - 2018). See details.
   Cites by year: 178
   Journals where Massimiliano Marcellino has often published
   Relations with other researchers
   Recent citing documents: 264.    Total self citations: 177 (4.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma114
   Updated: 2019-03-23    RAS profile: 2019-02-01    
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Relations with other researchers


Works with:

Carriero, Andrea (22)

Clark, Todd (17)

Foroni, Claudia (15)

Guérin, Pierre (12)

Venditti, Fabrizio (8)

Banerjee, Anindya (4)

Ferrara, Laurent (4)

Mogliani, Matteo (4)

Masten, Igor (4)

Leiva-Leon, Danilo (3)

Aastveit, Knut Are (3)

Abbate, Angela (3)

Stevanovic, Dalibor (2)

Lemke, Wolfgang (2)

Hepenstrick, Christian (2)

Galvão, Ana (2)

Sivec, Vasja (2)

Proietti, Tommaso (2)

Grassi, Stefano (2)

Ravazzolo, Francesco (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Massimiliano Marcellino.

Is cited by:

Koop, Gary (60)

Korobilis, Dimitris (51)

Dreger, Christian (44)

Eickmeier, Sandra (43)

Pesaran, M (39)

Darné, Olivier (37)

Götz, Thomas (37)

Hecq, Alain (36)

Giannone, Domenico (36)

Ferrara, Laurent (34)

Schumacher, Christian (32)

Cites to:

Reichlin, Lucrezia (194)

Watson, Mark (158)

Giannone, Domenico (146)

Stock, James (114)

Forni, Mario (112)

Lippi, Marco (101)

Hendry, David (92)

Ng, Serena (85)

Hallin, Marc (74)

Clements, Michael (65)

Schumacher, Christian (62)

Main data


Where Massimiliano Marcellino has published?


Journals with more than one article published# docs
International Journal of Forecasting14
Oxford Bulletin of Economics and Statistics10
Journal of Applied Econometrics9
Journal of the Royal Statistical Society Series A7
Journal of Forecasting4
Journal of Applied Econometrics4
Economic Modelling4
Journal of Business & Economic Statistics3
Empirical Economics3
Econometrics Journal3
Journal of Econometrics3
Journal of Time Series Analysis3
Economics Letters2
Journal of Banking & Finance2
Macroeconomic Dynamics2
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Economics Working Papers / European University Institute26
Working Paper Series / European Central Bank8
Working Papers (Old Series) / Federal Reserve Bank of Cleveland8
Discussion Paper Series 1: Economic Studies / Deutsche Bundesbank7
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area5
BAFFI CAREFIN Working Papers / BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy3
Working Papers / University of California, Davis, Department of Economics3
RSCAS Working Papers / European University Institute3
Discussion Papers / Deutsche Bundesbank3
Discussion Papers / Department of Economics, University of Birmingham3
Staff Working Papers / Bank of Canada2
CFS Working Paper Series / Center for Financial Studies (CFS)2
Post-Print / HAL2
Discussion Paper Series In Economics And Econometrics / Economics Division, School of Social Sciences, University of Southampton2

Recent works citing Massimiliano Marcellino (2019 and 2018)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Forecasting dynamically asymmetric fluctuations of the U.S. business cycle. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-13.

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2018Forecasters’ utility and forecast coherence. (2018). Zanetti Chini, Emilio. In: CREATES Research Papers. RePEc:aah:create:2018-23.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2018FDI, Service imports and Export development. (2018). Lu, Wenxi. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-05.

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2018Skewness-Adjusted Bootstrap Confidence Intervals and Confidence Bands for Impulse Response Functions. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Grabowski, Daniel. In: Lodz Economics Working Papers. RePEc:ann:wpaper:1/2018.

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models - A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Lodz Economics Working Papers. RePEc:ann:wpaper:4/2018.

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2018“Tracking economic growth by evolving expectations via genetic programming: A two-step approach”. (2018). Claveria, Oscar ; Torra, Salvador ; Monte, Enric. In: AQR Working Papers. RePEc:aqr:wpaper:201801.

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2018“New Imported Inputs, Wages and Worker Mobility”. (2018). Naticchioni, Paolo ; Matano, Alessia ; Colantone, Italo. In: AQR Working Papers. RePEc:aqr:wpaper:201804.

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2018Predicting crypto-currencies using sparse non-Gaussian state space models. (2018). Zoerner, Thomas ; Huber, Florian ; Zorner, Thomas O ; Hotz-Behofsits, Christian. In: Papers. RePEc:arx:papers:1801.06373.

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2018Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2018SME investment best strategies. Outliers for assessing how to optimize performance. (2018). Ausloos, Marcel ; Castellano, Nicola G ; Bartolacci, Francesca ; Cerqueti, Roy. In: Papers. RePEc:arx:papers:1807.09583.

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2018Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1809.01989.

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2018On the Choice of Instruments in Mixed Frequency Specification Tests. (2018). Liu, Yun ; Rho, Yeonwoo. In: Papers. RePEc:arx:papers:1809.05503.

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2018Model instability in predictive exchange rate regressions. (2018). Huber, Florian ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1811.08818.

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2018New Imported Inputs, Wages and Worker Mobility. (2018). Naticchioni, Paolo ; Matano, Alessia ; Colantone, Italo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1877.

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2018Nowcasting Canadian Economic Activity in an Uncertain Environment. (2018). Chernis, Tony ; Sekkel, Rodrigo. In: Discussion Papers. RePEc:bca:bocadp:18-9.

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2018Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation. (2018). St-Amant, Pierre ; Pichette, Lise ; Salameh, Mohanad ; Robitaille, Marie-Noelle. In: Staff Working Papers. RePEc:bca:bocawp:18-10.

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2018State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2018). Uzeda, Luis. In: Staff Working Papers. RePEc:bca:bocawp:18-14.

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2018Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22.

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2018LU-EAGLE: A DSGE model for Luxembourg within the euro area and global economy. (2018). Moura, Alban ; Lambrias, Kyriacos. In: BCL working papers. RePEc:bcl:bclwop:bclwp122.

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2017Monetary policy, stock market and sectoral comovement. (2017). Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Working Papers. RePEc:bde:wpaper:1731.

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2018Nowcasting private consumption: traditional indicators, uncertainty measures, credit cards and some internet data. (2018). Urtasun, Alberto ; Sanchez Fuentes, Antonio Jesus ; Pérez, Javier ; Perez, Javier J ; Gil, Maria. In: Working Papers. RePEc:bde:wpaper:1842.

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2018Forecasting house prices in Italy. (2018). Loberto, Michele ; Guglielminetti, Elisa ; Emiliozzi, Simone . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_463_18.

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2017Using the payment system data to forecast the Italian GDP. (2017). Monteforte, Libero ; Ardizzi, Guerino ; Aprigliano, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1098_17.

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2018Short term forecasts of economic activity: are fortnightly factors useful?. (2018). Monteforte, Libero ; Raponi, Valentina . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1177_18.

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2018On the unintended effects of public transfers: evidence from EU funding to Southern Italy. (2018). Rizzica, Lucia ; de Blasio, Guido ; de Angelis, Ilaria . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1180_18.

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2018Exchange rate pass-through into euro area inflation. An estimated structural model. (2018). Pisani, Massimiliano ; Notarpietro, Alessandro ; Burlon, Lorenzo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1192_18.

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2017Insight from a Time-Varying VAR Model with Stochastic Volatility of the French Housing and Credit Markets.. (2017). Lecat, Remy ; Avouyi-Dovi, Sanvi ; Ray, S ; Labonne, C. In: Working papers. RePEc:bfr:banfra:620.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2018The role of regional and sectoral factors in Russian inflation developments. (2018). Tsvetkova, Anna ; Ponomarenko, Alexey ; Deryugina, Elena ; Karlova, Natalia . In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps36.

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2018The Role of Property Rights in the Relationship between Capital Flows and Economic Growth in SSA: Do Natural Resources Endowment and Country Income Level Matter?. (2018). Coulibaly, Sionfou Seydou ; SOUMAR, ISSOUF ; Gakpa, Lewis Landry. In: African Development Review. RePEc:bla:afrdev:v:30:y:2018:i:1:p:112-130.

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2018Nontraded food commodity spatial price transmission: evidence from the Niger millet market. (2018). TANKARI, Mahamadou ; Goundan, Anatole. In: Agricultural Economics. RePEc:bla:agecon:v:49:y:2018:i:2:p:147-156.

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2018INEQUALITY AND GROWTH IN THE UNITED STATES: WHY PHYSICAL AND HUMAN CAPITAL MATTER. (2018). Karagiannis, Stelios ; Benos, Nikos. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:1:p:572-619.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2018Assessing the Synchronicity and Nature of Australian State Business Cycles. (2018). Poon, Aubrey. In: The Economic Record. RePEc:bla:ecorec:v:94:y:2018:i:307:p:372-390.

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2017The Role of U.S. Market on International Risk-Return Tradeoff Relations. (2017). Sun, Licheng ; Najand, Mohammad ; Meng, Liang . In: The Financial Review. RePEc:bla:finrev:v:52:y:2017:i:3:p:499-526.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2018Temporal disaggregation of economic time series: The view from the trenches. (2018). Quilis, Enrique M. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:4:p:447-470.

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2018Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts. (2018). Bisio, Laura ; Moauro, Filippo . In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:4:p:471-494.

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2018Forecasting Cryptocurrencies Financial Time Series. (2018). Ravazzolo, Francesco ; Grassi, Stefano ; Catania, Leopoldo. In: Working Papers. RePEc:bny:wpaper:0063.

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2018Business cycle narratives. (2018). Thorsrud, Leif ; Larsen, Vegard. In: Working Papers. RePEc:bny:wpaper:0064.

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2018International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach. (2018). Cross, Jamie L ; Poon, Aubrey ; Hou, Chenghan. In: Working Papers. RePEc:bny:wpaper:0070.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2018Effects of monetary policy decisions on professional forecasters’ expectations and expectations uncertainty. (2018). Paloviita, Maritta ; Viren, Matti ; Oinonen, Sami. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_024.

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2018Nowcasting Japanese GDPs. (2018). Hirakata, Naohisa ; Kyosuke, Naohisa Hirakata. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp18e18.

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2018Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area. (2018). Mammi, Irene ; Golinelli, Roberto ; Musolesi, A. In: Working Papers. RePEc:bol:bodewp:wp1120.

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2018A Monthly Indicator of Economic Activity for Ireland. (2018). Conefrey, Thomas ; Walsh, Graeme. In: Economic Letters. RePEc:cbi:ecolet:14/el/18.

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2018Global Banking, Trade, and the International Transmission of the Great Recession. (2018). Enders, Zeno ; Born, Alexandra. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6912.

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2018Forecasting Imports with Information from Abroad. (2018). Lehmann, Robert ; Grimme, Christian ; Noeller, Marvin. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7079.

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2018Economic Policy Uncertainty Spillovers in Booms and Busts. (2018). Castelnuovo, Efrem ; Caggiano, Giovanni ; Figueres, Juan Manuel. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7086.

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2018Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates. (2018). Reif, Magnus. In: ifo Working Paper Series. RePEc:ces:ifowps:_265.

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2018Forecasting using mixed-frequency VARs with time-varying parameters. (2018). Reif, Magnus ; Heinrich, Markus. In: ifo Working Paper Series. RePEc:ces:ifowps:_273.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: CIRANO Working Papers. RePEc:cir:cirwor:2017s-05.

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2017Automated Earnings Forecasts:- Beat Analysts or Combine and Conquer?. (2017). Ball, Ryan ; Ghysels, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12179.

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2018Risk Everywhere: Modeling and Managing Volatility. (2018). Bollerslev, Tim ; Pedersen, Lasse Heje ; Huss, John ; Hood, Benjamin. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12687.

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2018The Forcasting Performance of Dynamic Factor Models with Vintage Data. (2018). Forni, Mario ; Pattarin, Francesco ; di Bonaventura, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13034.

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2017Accurate Subsampling Intervals of Principal Components Factors. (2017). Ruiz, Esther ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:23974.

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2017Estimating non-stationary common factors : Implications for risk sharing. (2017). Poncela, Pilar ; Corona, Francisco ; Ortega, Esther Ruiz . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24585.

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2018Growth in Stress. (2018). Gonzalez-Rivera, Gloria ; Ortega, Esther Ruiz ; de Vicente, Javier . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:26623.

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2018Monetary Policy, External Instruments and Heteroskedasticity. (2018). Schlaak, Thore ; Podstawski, Maximilian ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1749.

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2018Macroeconomic Effects of Government Spending: The Great Recession Was (Really) Different. (2018). Klein, Mathias ; Linnemann, Ludger . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1754.

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2018Constructing Joint Confidence Bands for Impulse Response Functions of VAR Models: A Review. (2018). Winker, Peter ; Staszewska-Bystrova, Anna ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1762.

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2018Forward Guidance and the Role of Central Bank Credibility. (2018). Goy, Gavin ; Mavromatis, Kostas ; Homme, Cars. In: DNB Working Papers. RePEc:dnb:dnbwpp:614.

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2018Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors and a Multifactor Error Structure. (2018). Yamagata, Takashi ; Sarafidis, Vasilis ; Norkute, Milda . In: ISER Discussion Paper. RePEc:dpr:wpaper:1019.

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2017Forecasting economic activity in data-rich environment. (2017). Stevanovic, Dalibor ; Kotchoni, Rachidi ; Leroux, Maxime . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-5.

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2018Monetary Policy and Asset Price Bubbles. (2018). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-5.

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2018Nowcasting the New Turkish GDP. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00443.

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2018Real and financial cycles in EU countries - Stylised facts and modelling implications. (2018). Welz, Peter ; Rots, Eyno ; Rünstler, Gerhard ; Perez Quiros, Gabriel ; Mandler, Martin ; Lozej, Matija ; Lequien, Matthieu ; Lenarčič, Črt ; Jaccard, Ivan ; Iskrev, Nikolay ; Guarda, Paolo ; Comunale, Mariarosaria ; Burlon, Lorenzo ; Buss, Ginters ; Balfoussia, Hiona ; Scharnagl, Michael ; Hindrayanto, Irma ; Rannenberg, Ansgar ; Haavio, Markus ; Perez-Quiros, Gabriel ; Pedersen, Jesper ; Dewachter, Hans ; Papageorgiou, Dimitris ; de Backer, Bruno ; Runstler, Gerhard ; Lenarcic, Crt ; Kunovac, Davor ; Kulikov, Dmitry . In: Occasional Paper Series. RePEc:ecb:ecbops:2018205.

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2017Real exchange rate misalignments in the euro area. (2017). Schmitz, Martin ; Giordano, Claire ; Fidora, Michael. In: Working Paper Series. RePEc:ecb:ecbwps:20172108.

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2018ALICE: A new inflation monitoring tool. (2018). Zekaite, Zivile ; de Bondt, Gabe ; Hahn, Elke. In: Working Paper Series. RePEc:ecb:ecbwps:20182175.

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2018Fiscal policy and the real exchange rate: Some evidence from Spain. (2018). Bajo-Rubio, Oscar ; Esteve, Vicente ; Berke, Burcu . In: Working Papers. RePEc:eec:wpaper:1810.

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2018Usefulness of economic and energy data at different frequencies for carbon price forecasting in the EU ETS. (2018). Zhao, Xin ; Kang, Wanglin ; Ding, Lili ; Han, Meng. In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:132-141.

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2017Global slack and open economy Phillips curves – A province-level view from China. (2017). Mehrotra, Aaron ; girardin, eric ; Chen, Changsheng. In: China Economic Review. RePEc:eee:chieco:v:42:y:2017:i:c:p:74-87.

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2017Continuous time ARMA processes: Discrete time representation and likelihood evaluation. (2017). Chambers, Marcus ; Thornton, Michael A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:79:y:2017:i:c:p:48-65.

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2018Monetary policy and the relative price of durable goods. (2018). Melina, Giovanni ; Cantelmo, Alessandro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:1-48.

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2018Debt dynamics in Europe: A Network General Equilibrium GVAR approach. (2018). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Tsionas, Efthymios G. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:175-202.

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2017The new MIBA model: Real-time nowcasting of French GDP using the Banque de Frances monthly business survey. (2017). Mogliani, Matteo ; Darné, Olivier ; Pluyaud, Bertrand ; Darne, Olivier. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:26-39.

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2018The beta heuristic from a time/frequency perspective: A wavelet analysis of the market risk of sectors. (2018). McNevin, Bruce D ; Nix, Joan. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:570-585.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Nowcasting with the help of foreign indicators: The case of Mexico. (2018). Caruso, Alberto. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:160-168.

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2018Behavior of retail prices in common currency areas: The case of the Eurozone. (2018). Ogrokhina, Olena ; Nikolsko-Rzhevskyy, Alex. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:49-57.

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2018Inflation in Europe after the Great Recession. (2018). Mazumder, Sandeep. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:202-213.

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2018On the formation of inflation expectations in turbulent times: The case of the euro area. (2018). Paloviita, Maritta ; Łyziak, Tomasz. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:132-139.

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2018Testing the optimality of inflation forecasts under flexible loss with random forests. (2018). Pierdzioch, Christian ; Behrens, Christoph ; Risse, Marian. In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:270-277.

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2018Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate. (2018). Soybilgen, Baris ; Yazgan, Ege . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:99-108.

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2018Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth. (2018). Xu, Qifa ; Liu, Yezheng ; Jiang, Cuixia ; Zhuo, Xingxuan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:221-236.

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2019Dismiss the output gaps? To use with caution given their limitations. (2019). St-Amant, Pierre ; Salameh, Mohanad ; Robitaille, Marie-Noelle ; Pichette, Lise. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:199-215.

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2019Persistence of prices in the Eurozone capital cities: Evidence from the Economist Intelligence Unit City Data. (2019). Ogrokhina, Olena. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:330-338.

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2017Forecasting broad money velocity. (2017). Jung, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:421-432.

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2018A novel approach for testing the parity relationship between CDS and credit spread. (2018). Castagnetti, Carolina. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:115-117.

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2018Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis. (2018). Eraslan, Sercan ; Ali, Faek Menla. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:59-62.

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2018Estimation and forecasting in vector autoregressive moving average models for rich datasets. (2018). Dias, Gustavo Fruet ; Kapetanios, George. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:75-91.

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2018Estimation and inference of dynamic structural factor models with over-identifying restrictions. (2018). Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:125-147.

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More than 100 citations found, this list is not complete...

Massimiliano Marcellino has edited the books:


YearTitleTypeCited

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YearTitleTypeCited
2016Measuring Uncertainty and Its Impact on the Economy In: BAFFI CAREFIN Working Papers.
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paper8
2017Measuring Uncertainty and Its Impact on the Economy.(2017) In: Working Papers (Old Series).
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paper
2018Measuring Uncertainty and Its Impact on the Economy.(2018) In: The Review of Economics and Statistics.
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article
2017Macroeconomic activity and risk indicators: an unstable relationship In: BAFFI CAREFIN Working Papers.
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paper0
2018Big Data Econometrics: Now Casting and Early Estimates In: BAFFI CAREFIN Working Papers.
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paper0
2013Regime Switches in the Risk-Return Trade-Off In: Staff Working Papers.
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paper16
2013Regime Switches in the Risk-Return Trade-off.(2013) In: CEPR Discussion Papers.
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paper
2014Regime switches in the risk–return trade-off.(2014) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 16
article
2017Markov-Switching Three-Pass Regression Filter In: Staff Working Papers.
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paper4
2017Markov-switching three-pass regression filter.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2016Markov-Switching Three-Pass Regression Filter.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2017Large time-varying parameter VARs: a non-parametric approach In: Temi di discussione (Economic working papers).
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paper1
2016Large Time-Varying Parameter VARs: A Non-Parametric Approach.(2016) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 1
paper
2018The global component of inflation volatility In: Temi di discussione (Economic working papers).
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paper2
2012Forecasting economic activity with higher frequency targeted predictors In: Temi di discussione (Economic working papers).
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paper13
2012Selecting predictors by using Bayesian model averaging in bridge models In: Temi di discussione (Economic working papers).
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paper1
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility In: Temi di discussione (Economic working papers).
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paper17
2013Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility.(2013) In: CEPR Discussion Papers.
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paper
2016Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 17
article
1999Some Consequences of Temporal Aggregation in Empirical Analysis. In: Journal of Business & Economic Statistics.
[Citation analysis]
article116
2012Macroeconomic forecasting during the Great Recession: The return of non-linearity? In: Working papers.
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paper24
2013Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2013) In: CEPR Discussion Papers.
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paper
2015Macroeconomic forecasting during the Great Recession: The return of non-linearity?.(2015) In: International Journal of Forecasting.
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article
2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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paper
2015Macroeconomic forecasting during the Great Recession: the return of non-linearity?.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 24
paper
2009Forecasting with Factor-Augmented Error Correction Models In: Discussion Papers.
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paper37
2010Forecasting with Factor-augmented Error Correction Models.(2010) In: CEPR Discussion Papers.
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paper
2014Forecasting with factor-augmented error correction models.(2014) In: International Journal of Forecasting.
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article
2009Forecasting with Factor-augmented Error Correction Models.(2009) In: RSCAS Working Papers.
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This paper has another version. Agregated cites: 37
paper
2010Forecasting with Factor-augmented Error Correction In: Discussion Papers.
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paper2
2015An Overview of the Factor-augmented Error-Correction Model In: Discussion Papers.
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paper1
2016An Overview of the Factor-augmented Error-Correction Model.(2016) In: Advances in Econometrics.
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chapter
2009Regional inflation dynamics within and across euro area countries and a comparison with the United States In: Economic Policy.
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article61
2011EUROMIND: a monthly indicator of the euro area economic conditions In: Journal of the Royal Statistical Society Series A.
[Citation analysis]
article24
2015Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials In: Journal of the Royal Statistical Society Series A.
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article40
2015Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis In: Journal of the Royal Statistical Society Series A.
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article8
2015Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility In: Journal of the Royal Statistical Society Series A.
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article21
2013Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility.(2013) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 21
paper
2012Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility.(2012) In: Working Papers (Old Series).
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This paper has another version. Agregated cites: 21
paper
2016Mixed frequency structural vector auto-regressive models In: Journal of the Royal Statistical Society Series A.
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article0
2018Point, interval and density forecasts of exchange rates with time varying parameter models In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
article4
2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2016Point, interval and density forecasts of exchange rates with time-varying parameter models.(2016) In: Discussion Papers.
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This paper has another version. Agregated cites: 4
paper
2019Forecasting gross domestic product growth with large unbalanced data sets: the mixed frequency three‐pass regression filter In: Journal of the Royal Statistical Society Series A.
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article0
2004Time-scale transformations of discrete time processes In: Journal of Time Series Analysis.
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article5
2003Time-Scale Transformations of Discrete-Time Processes.(2003) In: Working Papers.
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paper
2007Pooling-Based Data Interpolation and Backdating In: Journal of Time Series Analysis.
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article3
2005Pooling-based data interpolation and backdating.(2005) In: CEPR Discussion Papers.
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paper
2005Pooling-based Data Interpolation and Backdating.(2005) In: Working Papers.
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paper
2009A parametric estimation method for dynamic factor models of large dimensions In: Journal of Time Series Analysis.
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article44
2006A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions.(2006) In: CEPR Discussion Papers.
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paper
2000 Forecast Bias and MSFE Encompassing. In: Oxford Bulletin of Economics and Statistics.
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article0
2004Forecast Pooling for European Macroeconomic Variables In: Oxford Bulletin of Economics and Statistics.
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article12
2004Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area In: Oxford Bulletin of Economics and Statistics.
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article65
2005Modelling and Forecasting Fiscal Variables for the Euro Area In: Oxford Bulletin of Economics and Statistics.
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article29
2005Modelling and Forecasting Fiscal Variables for the euro Area.(2005) In: CEPR Discussion Papers.
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paper
2005Modelling and Forecasting Fiscal Variables for the Euro Area.(2005) In: Working Papers.
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paper
2005Leading Indicators for Euro-area Inflation and GDP Growth In: Oxford Bulletin of Economics and Statistics.
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article86
2003Leading Indicators for Euro Area Inflation and GDP Growth.(2003) In: CEPR Discussion Papers.
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paper
2003Leading Indicators for Euro-area Inflation and GDP Growth.(2003) In: Working Papers.
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paper
2008Foreword In: Oxford Bulletin of Economics and Statistics.
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article0
2008Guest Editors Introduction to Special Issue on Encompassing In: Oxford Bulletin of Economics and Statistics.
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article3
2008Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-specified Models In: Oxford Bulletin of Economics and Statistics.
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article5
2010Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP In: Oxford Bulletin of Economics and Statistics.
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article75
2011Sectoral Survey‐based Confidence Indicators for Europe In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]
article5
2007Sectoral Survey-based Confidence Indicators for Europe.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2013A survey of econometric methods for mixed-frequency data In: Working Paper.
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paper38
2013A survey of econometric methods for mixed-frequency data.(2013) In: Economics Working Papers.
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This paper has another version. Agregated cites: 38
paper
2013Mixed frequency structural models: estimation, and policy analysis In: Working Paper.
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paper5
2014Mixed frequency structural VARs In: Working Paper.
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paper4
2014Have standard VARs remained stable since the crisis? In: Working Paper.
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paper11
2016Have Standard VARs Remained Stable Since the Crisis?.(2016) In: CEPR Discussion Papers.
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paper
2014Have Standard VARs Remained Stable since the Crisis?.(2014) In: Working Papers (Old Series).
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paper
2017Have Standard VARS Remained Stable Since the Crisis?.(2017) In: Journal of Applied Econometrics.
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article
2015Using low frequency information for predicting high frequency variables In: Working Paper.
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paper6
2018Using low frequency information for predicting high frequency variables.(2018) In: International Journal of Forecasting.
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article
2012A Credibility Proxy: Tracking US Monetary Developments In: The B.E. Journal of Macroeconomics.
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article8
2014The effects of the monetary policy stance on the transmission mechanism In: Studies in Nonlinear Dynamics & Econometrics.
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article1
2008Path Forecast Evaluation In: Working Papers.
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paper34
2008Path Forecast Evaluation.(2008) In: CEPR Discussion Papers.
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paper
2008Path Forecast Evaluation.(2008) In: Economics Working Papers.
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paper
2010Path forecast evaluation.(2010) In: Journal of Applied Econometrics.
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article
2003STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA. In: Working Papers.
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paper0
2000STOCHASTIC PROCESSES SUBJECT TO TIME SCALE TRANSFORMATIONS: AN APPLICATION TO HIGH-FREQUENCY FX DATA..(2000) In: Department of Economics.
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paper
Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data.() In: Working Papers.
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paper
2015Factor based identification-robust inference in IV regressions In: CEPR Discussion Papers.
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paper0
2015Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs In: CEPR Discussion Papers.
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paper2
2016Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs.(2016) In: Journal of Econometrics.
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article
2015Structural Analysis with Multivariate Autoregressive Index Models In: CEPR Discussion Papers.
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paper7
2016Structural analysis with Multivariate Autoregressive Index models.(2016) In: Journal of Econometrics.
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article
2017Tax shocks with high and low uncertainty In: CEPR Discussion Papers.
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paper0
2017Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model In: CEPR Discussion Papers.
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paper2
2016Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model.(2016) In: Working Papers.
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paper
1998Fiscal Solvency and Fiscal Forecasting in Europe In: CEPR Discussion Papers.
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paper25
1998Fiscal Solvency and Fiscal Forecasting in Europe..(1998) In: Economics Working Papers.
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paper
Fiscal Solvency and Fiscal Forecasting in Europe.() In: Working Papers.
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paper
1999Fiscal Forecasting: the Track Record of the IMF, OECD, and EC In: CEPR Discussion Papers.
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paper60
2001Fiscal forecasting: The track record of the IMF, OECD and EC.(2001) In: Econometrics Journal.
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article
1999Fiscal Forecasting: the Track Record of the IMF, OECD and EC..(1999) In: Economics Working Papers.
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paper
2001Large Datasets, Small Models and Monetary Policy in Europe In: CEPR Discussion Papers.
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paper15
Large Datasets, Small Models and Monetary Policy in Europe.() In: Working Papers.
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paper
2002Factor Forecasts for the UK In: CEPR Discussion Papers.
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2001Factor Forecasts for the UK.(2001) In: Economics Working Papers.
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paper
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paper
2002Factor Based Index Tracking In: CEPR Discussion Papers.
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2006Factor based index tracking.(2006) In: Journal of Banking & Finance.
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article
Factor Based Index Trading.() In: Working Papers.
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paper
2002Instability and Non-Linearity in the EMU In: CEPR Discussion Papers.
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Instability and non-linearity in the EMU.() In: Working Papers.
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paper
2002Forecast Pooling for Short Time Series of Macroeconomic Variables In: CEPR Discussion Papers.
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paper
2002Forecasting EMU Macroeconomic Variables In: CEPR Discussion Papers.
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paper32
2004Forecasting EMU macroeconomic variables.(2004) In: International Journal of Forecasting.
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article
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paper
2002Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area In: CEPR Discussion Papers.
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paper65
2006Some stylized facts on non-systematic fiscal policy in the Euro area.(2006) In: Journal of Macroeconomics.
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article
Some stylized facts on non-systematic fiscal policy in the Euro area.() In: Working Papers.
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paper
2003Dating the Euro Area Business Cycle In: CEPR Discussion Papers.
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paper86
2002Dating the Euro Area Business Cycle.(2002) In: Economics Working Papers.
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paper
2003Dating the Euro Area Business Cycle.(2003) In: Working Papers.
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paper
2003The Transmission Mechanism in a Changing World In: CEPR Discussion Papers.
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paper53
2003The transmission mechanism in a changing world.(2003) In: Economics Working Papers.
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paper
2007The transmission mechanism in a changing world.(2007) In: Journal of Applied Econometrics.
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article
2004Characterizing the Business Cycle for Accession Countries In: CEPR Discussion Papers.
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paper51
2004Characterising the Business Cycle for Accession Countries.(2004) In: Working Papers.
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2004Characterising the Business Cycle for Accession Countries.(2004) In: Econometrics.
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paper
2004Interpolation and Backdating with A Large Information Set In: CEPR Discussion Papers.
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2003Interpolation and backdating with a large information set.(2003) In: Working Paper Series.
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2006Interpolation and backdating with a large information set.(2006) In: Journal of Economic Dynamics and Control.
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article
2005A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series In: CEPR Discussion Papers.
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paper293
2006A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series.(2006) In: Journal of Econometrics.
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article
2005A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series.(2005) In: Working Papers.
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paper
2005Leading Indicators: What Have We Learned? In: CEPR Discussion Papers.
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2005Leading Indicators: What Have We Learned?.(2005) In: Working Papers.
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2005Factor Analysis in a New-Keynesian Model In: CEPR Discussion Papers.
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paper5
2005Factor analysis in a New-Keynesian model.(2005) In: Working Paper Series.
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paper
2006Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation In: CEPR Discussion Papers.
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paper2
2006Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation.(2006) In: Working Papers.
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paper
2006A Simple Benchmark for Forecasts of Growth and Inflation In: CEPR Discussion Papers.
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paper1
2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change In: CEPR Discussion Papers.
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2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change.(2008) In: Economics Working Papers.
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paper
2008Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change.(2008) In: Working Papers.
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2008Factor-augmented Error Correction Models In: CEPR Discussion Papers.
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2008Factor-augmented Error Correction Models.(2008) In: Economics Working Papers.
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2008Factor-augmented Error Correction Models.(2008) In: Working Papers.
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2008Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP In: CEPR Discussion Papers.
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paper19
2008Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP.(2008) In: Economics Working Papers.
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2007Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP.(2007) In: Discussion Paper Series 1: Economic Studies.
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2008A Monthly Indicator of the Euro Area GDP In: CEPR Discussion Papers.
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paper7
2008A Monthly Indicator of the Euro Area GDP.(2008) In: Economics Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR In: CEPR Discussion Papers.
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paper81
2009Forecasting exchange rates with a large Bayesian VAR.(2009) In: International Journal of Forecasting.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Economics Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008Forecasting Exchange Rates with a Large Bayesian VAR.(2008) In: Working Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments In: CEPR Discussion Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments.(2008) In: DNB Working Papers.
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2008A Measure for Credibility: Tracking US Monetary Developments.(2008) In: Economics Working Papers.
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2009Pooling versus model selection for nowcasting with many predictors: An application to German GDP In: CEPR Discussion Papers.
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paper12
2009Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP.(2009) In: Economics Working Papers.
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2009Pooling versus model selection for nowcasting with many predictors: an application to German GDP.(2009) In: Discussion Paper Series 1: Economic Studies.
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2009MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area In: CEPR Discussion Papers.
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paper80
2011MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area.(2011) In: International Journal of Forecasting.
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2011MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area.(2011) In: International Journal of Forecasting.
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2009MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area.(2009) In: Economics Working Papers.
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2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models In: CEPR Discussion Papers.
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paper43
2009Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models.(2009) In: Economics Working Papers.
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2011Forecasting large datasets with Bayesian reduced rank multivariate models.(2011) In: Journal of Applied Econometrics.
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